Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0092 |
| Annualized Std Dev | 0.2848 |
| Annualized Sharpe (Rf=0%) | 0.0324 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1437 |
| Quartile 1 | -0.0081 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0091 |
| Maximum | 0.2026 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0179 |
| Skewness | -0.4159 |
| Kurtosis | 9.4866 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0132 |
| Gain Deviation | 0.0122 |
| Loss Deviation | 0.0142 |
| Downside Deviation (MAR=210%) | 0.0176 |
| Downside Deviation (Rf=0%) | 0.0131 |
| Downside Deviation (0%) | 0.0131 |
| Maximum Drawdown | 0.8470 |
| Historical VaR (95%) | -0.0272 |
| Historical ES (95%) | -0.0439 |
| Modified VaR (95%) | -0.0279 |
| Modified ES (95%) | -0.0535 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-29 | 2020-03-23 | NA | -0.8470 | 3372 | 3121 | NA |
| 2002-04-11 | 2003-02-11 | 2004-02-17 | -0.4852 | 467 | 212 | 255 |
| 2000-03-09 | 2000-05-23 | 2001-05-22 | -0.3443 | 304 | 53 | 251 |
| 1999-05-11 | 1999-10-18 | 2000-03-08 | -0.3421 | 210 | 112 | 98 |
| 2001-07-06 | 2001-09-21 | 2002-04-10 | -0.2866 | 188 | 51 | 137 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 2.8 | 0 | 0 | -1.7 | -1.9 | -1.4 | 0.4 | 0.9 | -0.4 | 0.4 | 0.4 | 1.1 | 0.3 |
| 2000 | 1.6 | 3.3 | 1.8 | 0.8 | 1.4 | 3.5 | -0.8 | 0.7 | -1.9 | -1.2 | 0.9 | -1.2 | 9 |
| 2001 | -1 | 1.3 | 2.8 | -1.1 | 0.1 | 1.1 | 0.5 | 0.7 | 0.2 | 0.1 | -0.1 | -1 | 3.5 |
| 2002 | 0.1 | 1.5 | 0.2 | 0.2 | 0.3 | -2 | -0.9 | 0.4 | 2.6 | -1.9 | 0.1 | -0.1 | 0.4 |
| 2003 | 0.3 | -0.9 | 0.6 | -0.8 | 1.4 | -0.8 | -1.7 | 0.3 | 2.1 | 0.6 | 1.1 | 0.4 | 2.5 |
| 2004 | 0 | 2.1 | 2.2 | -0.3 | -0.7 | -0.1 | 0.4 | 0.1 | 0.5 | -1 | 1.2 | 0.1 | 4.6 |
| 2005 | 2.7 | 0.1 | 0.1 | 1.2 | 2.5 | 0.4 | 1.7 | 2.6 | 1.9 | 0.5 | 2.4 | 0.2 | 17.6 |
| 2006 | 0.8 | 1.8 | 1.1 | 1.7 | 3.4 | 1 | -1.4 | 1.7 | 0.4 | -0.2 | -0.8 | 1 | 10.9 |
| 2007 | 1.2 | -1.7 | 0.4 | 0.6 | 1.4 | 0 | 0 | 3.3 | 2.7 | -3.4 | 1.6 | 0.5 | 6.5 |
| 2008 | 2.5 | -4.3 | 3.9 | 0.7 | 0.6 | -1.2 | -0.6 | -0.9 | -0.9 | -3.2 | -1.7 | 0 | -5.1 |
| 2009 | 0.4 | -1.7 | 1.4 | 1.9 | 2.7 | 0.9 | 0.4 | -2.2 | -2.6 | -3.7 | 3.1 | -0.8 | -0.4 |
| 2010 | 0.6 | 1.4 | 0.7 | -1 | -1.2 | -1.1 | 0.1 | 2.4 | 1.7 | 0.3 | 0.9 | 1.2 | 6.2 |
| 2011 | 2.5 | -0.7 | -2.1 | 0.5 | -1.8 | -2.2 | 1 | 0.1 | -3.7 | -2.6 | -0.4 | 0 | -9.1 |
| 2012 | 1.9 | 0.6 | 1.4 | 1.1 | -1 | 2.8 | -0.3 | 0.1 | 1.5 | 0.1 | 2.6 | 3.8 | 15.6 |
| 2013 | 1.6 | 2.5 | 1.4 | -1.6 | -0.3 | 2.3 | 1.8 | 1.8 | 1.2 | 0.1 | 1.4 | 0.3 | 13.3 |
| 2014 | -0.6 | -0.4 | 0.7 | 1.2 | -0.4 | 0.3 | -1.4 | -0.3 | -1.6 | 0.1 | -4.6 | 0.4 | -6.6 |
| 2015 | -2 | 0.8 | 1.8 | -0.4 | -0.4 | -0.2 | 1.4 | -2.6 | 0 | 0.4 | 0.8 | 0.9 | 0.5 |
| 2016 | 0.4 | 2.2 | 0.1 | 0.2 | 0.3 | -1 | -0.4 | 0.4 | 0.1 | -2.1 | -1.5 | 6.1 | 4.4 |
| 2017 | 0.1 | 1.8 | -0.7 | 0.7 | 0.6 | 0 | 0.3 | 0.2 | 0.6 | 0 | 0.6 | 1.7 | 5.9 |
| 2018 | 1.5 | 0.5 | 1.4 | -1.2 | 0.1 | 0.7 | -0.7 | 0.2 | 0.9 | 3.1 | 0.1 | 0.7 | 7.4 |
| 2019 | 0.5 | -1.3 | 2 | 0 | -3.1 | 1 | -1.4 | 1.6 | -0.5 | 1 | -0.8 | 0.6 | -0.5 |
| 2020 | -0.7 | -5 | -2.6 | 0.1 | 2.4 | 2 | -0.9 | 2.7 | -0.1 | 0.5 | 3.9 | -0.9 | 1 |
| 2021 | 2.8 | 2.4 | -5.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
